Post #5183 by rayvt on the Mechanical Investing board

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Investment Strategies / Mechanical Investing

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No. of Recommendations: 5

This the count of trades and whipsaws of each backtest.
Trades is the number of buys plus sells.
A whipsaw is when the next week after a sell signal is a buy signal.

GTT has the effect of staying IN more of the time and greatly reducing the number of trades. As you would expect with a system which sometimes disallows a sell signal.

B&H
Trades->  1         0  <-Whipsaws
In %  ->  100%                

======================================
43 week SMA -1%
Trades->  167       28  <-Whipsaws
In %  ->  72%                 

65 week SMA -1%
Trades->  109       20  <-Whipsaws
In %  ->  74%                 

======================================
43 wk GTT -1%
Trades->  67        9  <-Whipsaws
In %  ->  84%                 

65 week GTT -1%
Trades->  45        1  -Whipsaws
In %  ->  84%

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